Parameter change test for Poisson autoregressive models
J Kang, S Lee - Scandinavian Journal of Statistics, 2014 - Wiley Online Library
In this paper, we consider the problem of testing for a parameter change in Poisson
autoregressive models. We suggest two types of cumulative sum (CUSUM) tests, namely …
autoregressive models. We suggest two types of cumulative sum (CUSUM) tests, namely …
Recent progress in parameter change test for integer-valued time series models
S Lee, B Kim - Journal of the Korean Statistical Society, 2021 - Springer
In this study, we review a recent progress regarding the change point test for integer-valued
time series models, specifically concentrating on the CUSUM test for integer-valued …
time series models, specifically concentrating on the CUSUM test for integer-valued …
Hybrid change point detection for time series via support vector regression and CUSUM method
This study considers the change point testing problem regarding time series based on the
location and scale-based cumulative sum (LSCUSUM) test constructed with the residuals …
location and scale-based cumulative sum (LSCUSUM) test constructed with the residuals …
Modified residual CUSUM test for location-scale time series models with heteroscedasticity
H Oh, S Lee - Annals of the Institute of Statistical Mathematics, 2019 - Springer
This study considers the residual-based CUSUM test for location-scale time series models
with heteroscedasticity. The estimates-and score vector-based CUSUM tests are widely …
with heteroscedasticity. The estimates-and score vector-based CUSUM tests are widely …
CUSUM test for general nonlinear integer-valued GARCH models: Comparison study
Y Lee, S Lee - Annals of the Institute of Statistical Mathematics, 2019 - Springer
This study considers the problem of testing a parameter change in general nonlinear integer-
valued time series models where the conditional distribution of current observations is …
valued time series models where the conditional distribution of current observations is …
Modelling financial volatility in the presence of abrupt changes
GJ Ross - Physica A: Statistical Mechanics and its Applications, 2013 - Elsevier
The volatility of financial instruments is rarely constant, and usually varies over time. This
creates a phenomenon called volatility clustering, where large price movements on one day …
creates a phenomenon called volatility clustering, where large price movements on one day …
The limit distribution of the CUSUM of squares test under general mixing conditions
We consider the cumulative sum (CUSUM) of squares test in a linear regression model with
general mixing assumptions on the regressors and the errors. We derive its limit distribution …
general mixing assumptions on the regressors and the errors. We derive its limit distribution …
Location and scale-based CUSUM test with application to autoregressive models
S Lee - Journal of Statistical Computation and Simulation, 2020 - Taylor & Francis
This study aims to refine the residual cumulative sum (CUSUM) test for location-scale time
series and to develop the location and scale-based CUSUM (LSCUSUM) test. This test …
series and to develop the location and scale-based CUSUM (LSCUSUM) test. This test …
Monitoring volatility change for time series based on support vector regression
S Lee, CK Kim, D Kim - Entropy, 2020 - mdpi.com
This paper considers monitoring an anomaly from sequentially observed time series with
heteroscedastic conditional volatilities based on the cumulative sum (CUSUM) method …
heteroscedastic conditional volatilities based on the cumulative sum (CUSUM) method …
On score vector-and residual-based CUSUM tests in ARMA–GARCH models
H Oh, S Lee - Statistical Methods & Applications, 2018 - Springer
In this study, we consider the problem of testing for a parameter change in ARMA–GARCH
models. We suggest two types of cumulative sum (CUSUM) tests, namely, score vector-and …
models. We suggest two types of cumulative sum (CUSUM) tests, namely, score vector-and …